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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Defined Strategy FD | NYSE:DSF | NYSE | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 11.09 | 0.00 | 01:00:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21621
Name of Fund: Defined Strategy Fund Inc.
Fund Address: 2 World Financial Center, 7 th Floor, New York, New York 10281.
Name and address of agent for service: Justin C. Ferri, Chief Executive Officer, Defined Strategy Fund Inc., 2 World Financial Center, 7th Floor, New York, New York 10281.
Registrant’s telephone number, including area code: (877) 449-4742
Date of fiscal year end: September 30, 2009
Date of reporting period: June 30, 2009
Item 1 – Schedule of Investments
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Defined Strategy Fund Inc. |
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Schedule of Investments as of June 30, 2009 (Unaudited) |
(Percentages shown are based on Net Assets) |
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Industry |
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Common Stocks |
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Shares
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Value |
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Capital Markets - 9.4% |
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TD Ameritrade Holding Corp. (a) |
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196,000 |
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$ |
3,437,840 |
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Chemicals - 10.6% |
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E.I. du Pont de Nemours & Co. |
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152,764 |
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3,913,814 |
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Computers & Peripherals - 17.0% |
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Dell, Inc. (a) |
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244,000 |
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3,350,120 |
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EMC Corp. (a) |
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222,000 |
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2,908,200 |
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6,258,320 |
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Construction & Engineering - 6.2% |
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Jacobs Engineering Group, Inc. (a) |
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54,000 |
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2,272,860 |
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Containers & Packaging - 8.1% |
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Owens-Illinois, Inc. (a) |
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107,000 |
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2,997,070 |
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Diversified Consumer Services - 5.6% |
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Apollo Group, Inc. Class A (a) |
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29,000 |
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2,062,480 |
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Diversified Financial Services - 21.2% |
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Bank of America Corp. (b) |
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274,440 |
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3,622,608 |
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JPMorgan Chase & Co. |
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122,597 |
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4,181,784 |
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7,804,392 |
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Diversified Telecommunication |
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AT&T Inc. |
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135,529 |
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3,366,540 |
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Services - 18.7% |
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Verizon Communications, Inc. |
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113,978 |
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3,502,544 |
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6,869,084 |
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Food Products - 9.6% |
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Kraft Foods, Inc. |
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139,991 |
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3,547,372 |
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Health
Care Equipment &
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Zimmer Holdings, Inc. (a) |
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62,000 |
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2,641,200 |
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IT Services - 6.4% |
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Alliance Data Systems Corp. (a) |
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57,000 |
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2,347,830 |
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Independent
Power Producers &
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The AES Corp. (a) |
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285,000 |
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3,308,850 |
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Industrial Conglomerates - 7.6% |
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General Electric Co. |
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238,475 |
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2,794,927 |
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Internet Software & Services - 8.4% |
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eBay, Inc. (a) |
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181,000 |
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3,100,530 |
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Metals & Mining - 9.6% |
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Alcoa, Inc. |
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343,193 |
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3,545,184 |
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Pharmaceuticals - 18.5% |
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Merck & Co., Inc. |
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127,091 |
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3,553,464 |
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Pfizer, Inc. |
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218,155 |
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3,272,325 |
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6,825,789 |
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Semiconductors
& Semiconductor
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Broadcom Corp. Class A (a) |
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154,000 |
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3,817,660 |
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Software - 24.0% |
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Adobe Systems, Inc. (a) |
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107,000 |
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3,028,100 |
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Autodesk, Inc. (a) |
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137,000 |
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2,600,260 |
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Oracle Corp. |
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150,000 |
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3,213,000 |
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8,841,360 |
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Textiles, Apparel & Luxury Goods - 10.7% |
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Coach, Inc. |
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147,000 |
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3,951,360 |
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Total
Investments
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80,337,922 |
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Liabilities in Excess of Other Assets - (118.2)% |
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(43,512,022 |
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Net Assets - 100.0% |
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$ |
36,825,900 |
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* |
The cost and unrealized appreciation (depreciation) of investments as of June 30, 2009, as computed for federal income tax purposes, were as follows: |
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Aggregate cost |
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$ |
89,360,359 |
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Gross unrealized appreciation |
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$ |
7,703,689 |
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Gross unrealized depreciation |
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(16,726,126 |
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Net unrealized depreciation |
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$ |
(9,022,437 |
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1
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Defined Strategy Fund Inc. |
Schedule of Investments as of June 30, 2009 (Unaudited) |
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(a) |
Non-income producing security. |
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(b) |
Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, were as follows: |
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Affiliate |
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Purchase
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Sales
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Realized
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Dividend
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Bank of America Corp. |
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$ |
4,316,396 |
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$ |
448,165 |
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$ |
(101,854 |
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$ |
5,548 |
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For Fund portfolio compliance purposes, the Funds industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. |
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Variable prepaid forward contracts as of June 30, 2009, expiring January 19, 2010, were as follows: |
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Shares Held |
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Issue |
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Value |
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285,000 |
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The AES Corp. (a) |
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$ |
(3,259,915 |
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107,000 |
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Adobe Systems, Inc. (a) |
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(2,978,923 |
) |
57,000 |
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Alliance Data Systems Corp. (a) |
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(2,319,877 |
) |
29,000 |
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Apollo Group, Inc. Class A (a) |
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(2,048,485 |
) |
137,000 |
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Autodesk, Inc. (a) |
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(2,564,366 |
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154,000 |
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Broadcom Corp. Class A (a) |
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(3,757,538 |
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147,000 |
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Coach, Inc. |
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(3,879,448 |
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244,000 |
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Dell, Inc. (a) |
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(3,285,704 |
) |
222,000 |
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EMC Corp. (a) |
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(2,862,202 |
) |
181,000 |
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eBay, Inc. (a) |
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(3,049,235 |
) |
54,000 |
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Jacobs Engineering Group, Inc. (a) |
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(2,248,247 |
) |
150,000 |
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Oracle Corp. |
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(3,134,010 |
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107,000 |
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Owens-Illinois, Inc. (a) |
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(2,952,194 |
) |
196,000 |
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TD Ameritrade Holding Corp. (a) |
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(3,382,627 |
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62,000 |
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Zimmer Holdings, Inc. (a) |
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(2,606,920 |
) |
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Total (Proceeds - $37,397,427) |
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$ |
(44,329,691 |
) |
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2
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Defined Strategy Fund Inc. |
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Schedule of Investments as of June 30, 2009 (Unaudited) |
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Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements clarifies the definition of fair value, establishes a framework for measuring fair values and requires additional disclosures about the use of fair value measurements. Various inputs are used in determining the fair value of investments, which are as follows: |
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Level 1 - price quotations in active markets/exchanges for identical securities |
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Level 2 - other observable inputs (including, but not limited to: quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
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Level 3 - unobservable inputs based on the best information available in the circumstance, to the extent observable inputs are not available (including the Funds own assumption used in determining the fair value of investments) |
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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Funds policy regarding valuation of investments and other significant accounting policies, please refer to the Funds most recent financial statements as contained in its semi-annual report. |
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The following table summarizes the inputs used as of June 30, 2009 in determining the fair valuation of the Funds investments: |
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Valuation
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Investments in
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Other Financial
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Assets |
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Liabilities |
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Level 1 |
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$ |
80,337,922 |
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Level 2 |
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$ |
(44,329,691 |
) |
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Level 3 |
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Total |
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$ |
80,337,922 |
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$ |
(44,329,691 |
) |
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+ Other financial instruments are variable prepaid forward contracts. |
3
Item 2 – |
Controls and Procedures |
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2(a) – |
The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. |
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2(b) – |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
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Item 3 – |
Exhibits |
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Certifications – Attached hereto |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
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Defined Strategy Fund Inc. |
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By: |
/s/ Justin C. Ferri | ||
Justin C. Ferri | |||
Chief Executive Officer (principal executive officer) of | |||
Defined Strategy Fund Inc. | |||
Date: August 20, 2009 | |||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. | |||
By: |
/s/ Justin C. Ferri | ||
Justin C. Ferri | |||
Chief Executive Officer (principal executive officer) of | |||
Defined Strategy Fund Inc. | |||
Date: August 20, 2009 | |||
By: |
/s/ James E. Hillman | ||
James E. Hillman | |||
Chief Financial Officer (principal financial officer) of | |||
Defined Strategy Fund Inc. | |||
Date: August 20, 2009 |
1 Year Defined Strgy Fund Chart |
1 Month Defined Strgy Fund Chart |
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